This is a summary of links recently featured on Quantocracy as of Friday, 01/09/2026. To see our most recent links, visit the Quant Mashup. Read on readers!
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Are markets that are good for trend good just bc they have also gone up a lot, or bc carry, or… [Investment Idiocy]I have a friend, ex-colleague and TTU co-host who runs a fixed income focused CTA. We have regular coffees (he pays, so his fund is doing ok) and one of our favourite topics for arguing debating making polite conversation about is why fixed income is so much better for trend than anything else. He's biased, but then arguably so am I; I started my career trading rates options, and we both
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The fourth quarter effect in small caps [Klement on Investing]In the US, the full-year/Q4 earnings season begins next week, and investors will pay particular attention to these earnings and the guidance for 2026. But did you know that companies, in particular smaller companies, are much more likely to miss analyst expectations in Q4? Previously, I have written about research that shows that US company earnings are most truthful (least deceptive) in Q4,
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Completing a Correlation Matrix: Another Problem from Finance [Portfolio Optimizer]The previous post of this series on mathematical problems related to correlation matrices introduced the nearest correlation matrix problem1, which consists in determining the closest2 valid correlation matrix to an approximate correlation matrix In this blog post, I will now describe the correlation matrix completion problem, which consist in filling in the missing coefficients of a partially
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Do Breakouts of Strong Swings Work? I Tested 40 Futures Markets and the Data Is Clear [Cracking Markets]Many traders spend hours hunting for strong support and resistance levels with the goal of entering counter-trend trades. They bet on price hitting a wall and reversing. However, when I tested over 15 years of history across 40 futures markets, I found something different. Peter Do Breakouts of Strong Swings Work? I Tested 40 Futures Markets and the Data Is Clear Holding a position mechanically in